Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1264
Annualized Std Dev 0.2334
Annualized Sharpe (Rf=0%) 0.5417

Row

Daily Return Statistics

Close
Observations 3553.0000
NAs 1.0000
Minimum -0.1262
Quartile 1 -0.0058
Median 0.0011
Arithmetic Mean 0.0006
Geometric Mean 0.0005
Quartile 3 0.0077
Maximum 0.1053
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0011
Variance 0.0002
Stdev 0.0147
Skewness -0.3065
Kurtosis 7.1016

Downside Risk

Close
Semi Deviation 0.0108
Gain Deviation 0.0100
Loss Deviation 0.0116
Downside Deviation (MAR=210%) 0.0151
Downside Deviation (Rf=0%) 0.0105
Downside Deviation (0%) 0.0105
Maximum Drawdown 0.5897
Historical VaR (95%) -0.0238
Historical ES (95%) -0.0356
Modified VaR (95%) -0.0227
Modified ES (95%) -0.0419
From Trough To Depth Length To Trough Recovery
2007-07-20 2008-11-21 2011-01-14 -0.5897 856 329 527
2020-02-20 2020-03-23 2020-08-04 -0.3405 116 23 93
2011-02-18 2011-10-03 2013-02-14 -0.2723 500 157 343
2018-08-30 2018-12-24 2019-03-21 -0.2284 139 80 59
2015-12-02 2016-02-09 2016-06-02 -0.1728 126 47 79

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA NA NA -1.3 0.8 -0.5
2007 0.4 0.4 -0.5 -1.2 0.4 -0.7 -0.3 0.9 0.8 -2.3 -0.9 -1.2 -4.2
2008 3.8 -2.6 3.5 2.7 0.9 -0.9 -0.8 -2 -1.1 3.3 5.2 2 14.4
2009 -3.1 -2.7 -0.3 0 3.8 0.9 -0.1 -2 -3 -2.4 1.9 -0.8 -7.7
2010 2.3 2.2 -0.1 -3.3 -2.6 0 -0.9 3.2 -0.3 -0.2 2.6 -0.7 2.1
2011 2.4 -1.8 -0.5 -0.1 -2 1.5 -1 -1.4 -3.3 -3.3 0.4 -0.3 -9.2
2012 1.6 0.3 0 0.5 -3 4.4 -0.4 0.6 -0.2 2.5 -0.1 1.4 7.6
2013 1.1 0.1 -1 -0.8 -0.9 0.4 1.6 -0.7 0.8 0.4 0 0.4 1.4
2014 -0.8 -0.3 1.3 0 -0.1 1.1 -0.3 0.5 -1.9 2.2 -1.1 -1.1 -0.6
2015 -1.7 -0.1 -0.6 1.5 0.2 0.6 -0.3 -2.9 -0.2 0.1 1 -1.3 -3.7
2016 0.5 2.4 0.6 -1.7 0 -0.1 -0.1 0.4 0.7 -0.7 -3 -0.9 -1.9
2017 0.1 1.4 -0.2 0.5 0.5 -0.3 0.5 0.1 0.6 -0.3 -0.6 -0.7 1.5
2018 -0.1 -1.3 1.6 1.1 1.8 0.2 -0.2 0.2 -0.2 1.9 0.9 0.9 7
2019 1.3 0.8 2.1 -1.1 -1.6 1.9 -0.9 0.3 -1.3 1.4 -0.3 0.3 2.8
2020 -2.5 -0.1 -4.8 -4 0.4 -0.3 0.5 0.6 1 -0.9 1 0.9 -8.3
2021 2.3 2.6 0.2 NA NA NA NA NA NA NA NA NA 5.3

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart